Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.8.0.1
Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 2017
Fair Value Disclosures [Abstract]  
Summary of Assumptions Used for Valuation of Fair Value Liabilities

Assumptions utilized in the valuation of Level 3 liabilities are described as follows:

 

    For the Three Months Ended     For the Nine Months Ended  
    September 30,     September 30,  
    2017     2016     2017     2016  
                         
Risk-free interest rate     1.55 - 1.62 %     0.58% - 1.08 %     1.47 - 1.62 %     0.58% - 1.16 %
Expected term (years)     1.28 - 3.75       2.28 - 5.00       1.28 - 4.00       2.28 - 5.00  
Expected volatility     114% - 130 %     123% - 139 %     114% - 149 %     114% - 154 %
Expected dividend yield     0.00 %     0.00 %     0.00 %     0.00 %

Summary of Changes in Fair Value of Warrant Liabilities Measured at Recurring Basis

The following table sets forth a summary of the changes in the fair value of Level 3 warrant liabilities that are measured at fair value on a recurring basis:

 

Derivative Liabilities      
Beginning balance as of January 1, 2017   $ 1,583,103  
Issuance of warrants     936,881  
Change in fair value of derivative liability     24,108,022  
Ending balance as of September 30, 2017   $ 26,628,006  
         
Warrants Payable        
Beginning balance as of January 1, 2017   $ 155,412  
Accrual of other warrant obligations     8,616  
Change in fair value of warrants payable     2,366,686  
Ending balance as of September 30, 2017   $ 2,530,714  

Summary of Assets and Liabilities Measured at Fair Value Recurring and Nonrecurring Basis

Assets and liabilities measured at fair value on a recurring or nonrecurring basis are as follows:

 

    September 30, 2017  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 26,628,006     $ 26,628,006  
Warrants payable     -       -       2,530,714       2,530,714  
Total liabilities   $ -     $ -     $ 29,158,720     $ 29,158,720  
                                 
      December 31, 2016  
      Level 1       Level 2       Level 3       Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 1,583,103     $ 1,583,103  
Warrants payable     -       -       155,412       155,412  
Total liabilities   $ -     $ -     $ 1,738,515     $ 1,738,515